G. M. Molchan
- Small values of the maximum for the integral of fractional Brownian motion
2002/12/19 by G. M. Molchan, A. Khokhlov, Molchan, G. M. +2 · 2 citations
Economics, Econometrics and Finance · Mathematics · #60G15 #60J25 #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #msc:60G15 #msc:60J25
- Survival exponents for some Gaussian processes
2012/03/12 by G. M. Molchan, Molchan, George · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Integrated fractional Brownian motion: persistence probabilities and their estimates
2018/06/13 by G. M. Molchan, Molchan, G. · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Stochastic processes and statistical mechanics
- Unilateral Small Deviations for the Integral of Fractional Brownian Motion
2003/10/26 by G. M. Molchan, A. Khokhlov, Molchan, G. +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60G15 #60G18 #Complex Systems and Time Series Analysis #FOS: Mathematics #FOS: Physical sciences #Mathematical Physics (math-ph) #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics